A Note on Generalizing the Savage-Dickey Density Ratio
Isabella Verdinelli and Larry Wasserman
We present a simple method for computing Bayes factors. The method
derives from observing that, in general, a Bayes factor can be written
as the product of a quantity called the ``Savage-Dickey density
ratio'' and a correction factor; both terms are easily estimated from
posterior simulation. In some cases, it is possible to do these
computations without ever evaluating the likelihood, in contrast to
some other methods.
KEY WORDS AND PHRASES: Bayes factor, hypothesis testing, Markov
chain Monte Carlo.